Jun Pan

Finance · with Liu · 2001–2011

A researcher in the Science corpus: 8 papers; trusts 37 researchers and is trusted by 264 researchers here, as inferred from the citation graph.

Subfields

• Finance — 92 citations into it; #23 of 10,518 by trust here, #134 by citations
• Economics and Econometrics — 42 citations into it; #4,169 of 23,481 by trust here, #3,885 by citations
• Accounting — 23 citations into it; #2,487 of 8,970 by trust here, #3,214 by citations

Whom Jun Pan trusts overall

Their strongest outbound trust, strongest first, inferred from their citations.

1. Lars Peter Hansen
2. Bjørn Eraker
3. Kenneth J. Singleton
4. Yacine Aït-Sahalia
5. Mikhail Chernov
6. Gurdip Bakshi
7. Yongmiao Hong
8. Sergio Pastorello
9. Qiang Dai
10. Darrell Duffie

Who trusts Jun Pan overall

1. Tim Bollerslev
2. Torben G. Andersen
3. Gurdip Bakshi
4. D. Xiu
5. V. Todorov
6. Mikhail Chernov
7. Peter P. Carr
8. Mark Broadie
9. Bjørn Eraker
10. Jun Liu

Papers from Jun Pan's perspective

Ordered by how strongly the researchers Jun Pan trusts endorse each paper. Same corpus, a different order for every researcher.

1. The jump-risk premia implicit in options: evidence from an integrated time-series study $
2. Specification Analysis of Affine Term Structure Models
3. The Pricing of Options and Corporate Liabilities
4. LARGE SAMPLE PROPERTIES OF GENERALIZED METHOD OF
5. Term premia and interest rate forecasts in affine models
6. Modeling Sovereign Yield Spreads: A Case Study of Russian Debt
7. Post-'87 crash fears in the S&P 500 futures option market
8. A study towards a unified approach to the joint estimation of objective and risk neutral measures for the purpose of options valuation
9. Simulated Likelihood Estimation of Diffusions with an Application to Exchange Rate Dynamics in Incomplete Markets
10. Estimation of affine asset pricing models using the empirical characteristic function

Their papers

• An Equilibrium Model of Rare-Event Premia and Its Implication for Option Smirks (2005) — 372 citations
• The Information of Option Volume for Future Stock Prices (2004) — 744 citations
• The Illiquidity of Corporate Bonds (2011) — 910 citations
• Default and Recovery Implicit in the Term Structure of Sovereign CDS Spreads (2008) — 905 citations
• Volatility Information Trading in the Option Market (2008) — 258 citations
• How Sovereign is Sovereign Credit Risk (2007) — 1,186 citations
• The jump-risk premia implicit in options: evidence from an integrated time-series study $ (2002) — 1,260 citations
• Dynamic Asset Allocation with Event Risk (2001) — 428 citations